Otro
Long term economic relationships from cointegration maps
Registro en:
Physica A-statistical Mechanics and Its Applications. Amsterdam: Elsevier B.V., v. 380, p. 317-324, 2007.
0378-4371
10.1016/j.physa.2007.02.067
WOS:000247243600027
Autor
Vicente, Renato
Pereira, Carlos de B.
Leite, Vitor Barbanti Pereira
Caticha, Nestor
Resumen
We employ the Bayesian framework to define a cointegration measure aimed to represent long term relationships between time series. For visualization of these relationships we introduce a dissimilarity matrix and a map based on the sorting points into neighborhoods (SPIN) technique, which has been previously used to analyze large data sets from DNA arrays. We exemplify the technique in three data sets: US interest rates (USIR), monthly inflation rates and gross domestic product (GDP) growth rates. (c) 2007 Elsevier B.V. All rights reserved.